Related papers: Present Value of the Future Consumer Goods Multipl…
A Markovian modulation captures the trend in the market and influences the market coefficients accordingly. The different scenarios presented by the market are modeled as the distinct states of a discrete-time Markov chain. In our paper, we…
In this paper, we demonstrate that a consumer's marginal system impact is only determined by their demand profile rather than their demand level. Demand profile clustering is identical to cluster consumers according to their marginal…
Networked public goods games model scenarios in which self-interested agents decide whether or how much to invest in an action that benefits not only themselves, but also their network neighbors. Examples include vaccination, security…
We propose an error-correcting model for the microprice, a high-frequency estimator of future prices given higher order information of imbalances in the orderbook. The model takes into account a current microprice estimate given the spread…
I show that if the capital accumulation dynamics is stochastic a new term, in addition to that given by accounting prices, has to be introduced in order to derive a correct estimate of the genuine wealth of an economy. In a simple model…
We study the Merton problem of optimal consumption-investment for the case of two investors sharing a final wealth. The typical example would be a husband and wife sharing a portfolio looking to optimize the expected utility of consumption…
In continuous-choice settings, consumers decide not only on whether to purchase a product, but also on how much to purchase. Thus, firms optimize a full price schedule rather than a single price point. This paper provides a methodology to…
We investigate the extent to which price updates can increase the revenue of a seller with little prior information on demand. We study prior-free revenue maximization for a seller with unlimited supply of n item types facing m myopic…
In recommender systems, reinforcement learning solutions have shown promising results in optimizing the interaction sequence between users and the system over the long-term performance. For practical reasons, the policy's actions are…
Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…
We consider supersymmetric inflation models in which inflation occurs at an intermediate scale and which provide a solution to the $\mu$ problem and the strong CP problem. Such models are particularly attractive since inflation,…
This study aims to address the challenges of futures price prediction in high-frequency trading (HFT) by proposing a continuous learning factor predictor based on graph neural networks. The model integrates multi-factor pricing theories…
This paper introduces an information-based model for the pricing of storable commodities such as crude oil and natural gas. The model uses the concept of market information about future supply and demand as a basis for valuation. Physical…
We consider a dynamic portfolio optimization problem that incorporates predictable returns, instantaneous transaction costs, price impact, and stochastic volatility, extending the classical results of Garleanu and Pedersen (2013), which…
We provide simple models for the utility function (or psychology) of an actor trading a multitude of goods for money. In this framework, money has no intrinsic consumption value, but is required as a medium of exchange. A collection of such…
We study the dynamic pricing problem faced by a monopolistic retailer who sells a storable product to forward-looking consumers. In this framework, the two major pricing policies (or mechanisms) studied in the literature are the…
The Walras approach to equilibrium focuses on the existence of market prices at which the total demands for goods are matched by the total supplies. Trading activities that might identify such prices by bringing agents together as potential…
For those concerned with the long-term value of their accounts, it can be a challenge to plan in the present for inflation-adjusted economic growth over coming decades. Here, I argue that there exists an economic constant that carries…
Future sequence represents the outcome after executing the action into the environment (i.e. the trajectory onwards). When driven by the information-theoretic concept of mutual information, it seeks maximally informative consequences.…
The usual formulas for the fair market valuation of a firm at time $t$ include the profits accruing to the shares at time $t$ from the use of wage or salaried labor in the future. But in employee-owned firms or partnerships, the future…